In this paper we conduct tests for two different trading rules, namely, the Dual Moving Average (DMA) model and the Channel Breakout (CHB) rule. These rules are tested across five futures contracts – the S&P 500, British Pound, US T‐Bonds, COMEX Gold and Corn using daily data over the period...

In this study, we rely on the profitability of EP (earnings‐to‐price ratio) trading rules to infer the quality of earnings. Under the extrapolation hypothesis (Lakonishok, Shleifer, and Vishney 1994), the profitability of an EP trading rule that is based on higher quality earnings (i.e.,...

This article sets flight capital in the context of portfolio choice, focusing on the proportion of private wealth that is held abroad. There are large regional differences in this proportion, ranging from 5 percent in South Asia to 40 percent in Africa. The authors explain cross-country...

Purpose – While the extant literature is replete with theoretical and empirical studies of value at risk (VaR) methods, only a few papers have applied the concept of VaR to quantify market risk in the context of agricultural finance. Furthermore, papers that have done so have largely relied on...

Purpose – The purpose of this paper is to test the market linkage and the strength of the linkage between the identity‐preserved (IP) non‐genetically modified organism (non‐GMO) and non‐IP conventional soybean futures markets at the Tokyo Grain Exchange (TGE) when effects from...

Purpose The role that speculation in futures markets plays during food price spikes is a subject of lively dispute. This issue is often addressed with empirical analyses. They suffer from data limitations and focus on the short-term impacts. The paper aims to discuss these issues....

Purpose – The purpose of this paper is to investigate the long‐term and short‐term asymmetric effects of the price transmission relationships between agricultural futures and the agriculture index in China. Design/methodology/approach – The paper adopts a threshold autoregressive (TAR)...

Purpose – The purpose of this paper is to find factors that explain why some enterprises hedge but others do not. The authors' analysis relies on Heckman model (a probit and Tobit model) with the data obtained from questionnaires collected from Chinese enterprises. Given the fact that only a...

Purpose – The purpose of this paper is to investigate whether the change of margin in Chinese futures markets has policy spillover effects. Design/methodology/approach – The paper constructs a model based on Harzmark and on Chng, taking Chinese futures markets status quo as a single species...

Purpose – The purpose of this paper is to empirically analyze the role of differentiated margin system in leading investors' investing behavior and then optimize investor structure in futures markets. Design/methodology/approach – Using economic experimental research method, this paper...